News & Articles
CREDIT CARDS
Product Behavioral Considerations in Credit Modeling and Valuation
By Dean C. Hurley
27th January 2012
Credit Cards are a unique product in banking. This industry leverages professionals with both marketing and quantitative skills, as those are key to effectively managing this business line. Therefore, the industry lingo is full of marketing and statistical terminology.. [ Download entire document in: PDF ] [ View: Digital Edition ]
MIAC PERSPECTIVES - AUTUMN 2012
10th January 2012
MIAC's mandate is to provide our clients with the best tools and comprehensive market knowledge they require to be successful. This issue of Perspectives continues that commitment. We trust this selection of articles provides needed focus on a clouded economic horizon. As always, we welcome your feedback. Read more.. [ Download Printer Friendly: PDF ] [ View: Digital Edition ] [ Read Entire Edition]
January LSL Acad E&W HPI
August LSL Acad Scotland HPI
MIAC | Acadametrics in the News!
28th September 2011
MIAC | Acadametrics was delighted to support Yorkshire BS in their acquisition of the EGG by providing them with loan-level risk and loss analytics. We wish them every continuing success!
To read the full story published in Acquisition International, please. Read more..
Regards,
David Pickles
Strategy & Development Director
MIAC | Acadametrics
STRESS AND SCENARIO TESTING (SST) METHODOLOGY
26th September 2011
Confidence in the reliability of mortgage portfolio stress tests, conducted at loan segment level, was shaken by the credit ratings given to those sub-prime bonds which subsequently failed.
Dr Stephen Satchell, Economics Fellow, Trinity College, Cambridge and Director of Research, MIAC | Acadametrics Ltd, developed our procedure for stressing residential mortgage portfolios at individual loan level. In his paper, “Stress and Scenario Testing for UK Residential Mortgage-Backed Securities; A Methodology for Loan-by-Loan Testing”, Dr Satchell explains how his Macro-Risk Model is used to calculate a risk weight appropriate to a set of macro-variables and how this weight, in turn, is used as input in our stress tests to enable our estimates to be made under a variety of macroeconomic scenarios. In this paper we explain the stress tests themselves. Read more..
STRESS AND SCENARIO TESTING FOR UK RESIDENTIAL MORTGAGE-BACKED SECURITIES; A METHODOLOGY FOR LOAN-BY-LOAN TESTING
26th September 2011
In this Discussion Paper, Dr Stephen Satchell, Economics Fellow, Trinity College, Cambridge and Director of Research MIAC | Acadametrics Ltd, notes that a revival of the residential securitisation market is likely to involve a requirement for loan-level stress and scenario testing and that prime on-balance sheet lenders and others are already taking the appropriate steps. Dr Satchell suggests why typical IRB methodologies, used for such testing, depend too much on individual judgement and cannot provide the reliability required to restore investor confidence. Read more..
ACADAMETRICS RESIDENTIAL ASSET CALCULATOR (ARAC) METHODOLOGY
MONTHLY HOUSE PRICE DATA AT COUNTY/LONDON BOROUGH
AND PROPERTY TYPE LEVELS FOR RESIDENTIAL PROPERTY
PORTFOLIO REVALUATION
4th March 2011
In this paper, we outline the Acadametrics Residential Asset Calculator (ARAC) methodology employed in providing a stand-alone collateral revaluation service or as an element of our Stress and Scenario Testing (SST) Methodology.
The Acadametrics Residential Asset Calculator, using prices for each property type at county or London borough level, provides a refined but inexpensive tool for indexing values at portfolio level. ARAC takes a portfolio of known past prices and updates them with current prices. The results include standard deviations, attached to the value of each property. These deviations enable properties to be identified which require a closer estimate of current collateral than ARAC can provide at individual property level. This enables a lender to refer such properties only, rather than the whole book,
for a surveyor valuation or one by an Automatic Valuation Model (AVM). Read more..
Acadametrics Prices and Transactions (APAT) METHODOLOGY
HOUSE PRICE DATA SERIES BY REGION, COUNTY, UNITARY DISTRICT,
LONDON BOROUGH AND PROPERTY TYPE
4th March 2011
This paper provides an outline of the methodology employed in creating the Acadametrics Prices and Transactions (APAT) data.. Read more..
TESTING INDEXATION
USING HOUSE PRICE INDICES TO REVALUE RESIDENTIAL PROPERTY PORTFOLIOS
4th March 2011
Gone are the days when rising house prices lifted the equity of every borrower and floated the collateral-boats of all mortgage lenders. Stress tests on loan portfolios now require that the collateral supporting mortgage books be accurately revalued. Is an indexation procedure fit for purpose? A pre-requisite for any test is a source of data on a set of properties, with known first-sale prices, that have been resold at known second-sale prices. Not until 2005 did such factual sales prices become available in the form of the Land Registry (LR) “duplicate sale” data. The test which we describe herein comprises, possibly, the only test yet of indexation. We used the factual LR second-sale prices of 405,023 such properties to measure the accuracy obtained in our procedure, when employing our own Acadametrics Residential Asset Revaluation (ARAC) prices (as used in our stress testing models), alternatively leading house price indices. Comparing the average of the indexed prices with the average of the factual second-sale prices, we found that the difference decreased with the use of more granular data. These differences were as follows: Read more..
1st February 2011
House prices – how is an average house price calculated? Our Acadametrics colleagues report on the differing methodologies adopted by the primary providers of house price indices in the UK. We note that the US Case-Shiller index, like some in the UK, provides a “standardized” house price. Read more..
FEBRUARY LSL Acad HP
EUROZONE ECONOMIC OUTLOOK
27th January 2011
Dean Hurley, Senior Vice President of MIAC's Capital Markets Group shares his professional knowledge on the current economic state of the Eurozone in his article, The Start of a New Recession in the Eurozone? What of the budding recovery in Commercial Real Estate?
MIAC | Acadametrics believes that the Eurozone is at a critical tipping point, with several major markets poised to move ahead strongly (the UK, and Norway) or continue improving (Germany, Sweden). However, even with recent good news, the recent sovereign debt crises continue to have negative impacts. If the situation is managed well, the results could be most fortunate for the Eurozone. If not, there is a dark cloud of returning uncertainty ahead. The memory of how first a spike in interbank lending rates and then freezes in interbank lending in mid-2007 presaged the market meltdown in the fall of 2008 is too recent not to take seriously analogous events in Europe.
Click here for full text version.
MIAC PERSPECTIVES - AUTUMN 2010
19th November 2010
As the fragile economy churns toward recovery, MIAC tracks market dynamics critical to your daily business operations. The recent confluence of political and economic factors shaping the market are dramatic: The Federal Reserve has announced a decision to buy $600 billion in US government bonds over the next eight months; the US political map has decidedly changed from blue to red following the recent election; the Dodd – Frank, Wall Street Reform and Consumer Protection Act was passed in July, with its implementation yet to be realized; the unemployment rate still hovers near 10%; and the US home foreclosure rate reached record high levels in recent months. In short, the US economy remains a political hot potato with all the real world business fallout one would expect. This issue of Perspectives highlights those hard line trends you need to understand in order to effectively manage your daily business operations Read more.. [ Download Printer Friendly: PDF ] [ View: Digital Edition ] [ Read Entire Edition]
Property Investment Due Diligence Tips from a Leading Econometrics Consultancy
25th August 2010
Whilst most professional property experts would agree that the market is going through a slow (albeit prolonged) bottoming out, one of the main challenges facing the industry is a seeming lack of concrete housing data to undertake truly valid analyses – largely due to the fact that there are such low levels of sales activity. We are therefore very pleased to provide a very interesting an insightful interview with David Thorpe, of Acadametrics – a housing consultancy that provides detailed housing-related information to a range of important institutions and is regularly featured in the broadsheet press. We talk in detail about how the organisation undertakes housing research; the UK house price index system and its related criticisms; stress-testing the UK housing industry; the current fragility of the property market and some thoughts for the future. Read more..
A World of Models
7th July 2010
The world is inundated with models in every realm of life. In the physical sciences, models operate within a controlled environment where an experiment can be repeated over and over again. Models can be built to simulate an experiment and can be perfected to significant precision. However, building models in the social sciences to simulate an experiment presents additional challenges. Given the same scenario over and over again, human beings will not necessarily act in the same manner. As a result, modeling that involves elements of human behavior (such as prepayment and default) is quite difficult, and testing these models is even more difficult. Despite these challenges, modeling and model testing have a prominent place in real world applications from measuring risk to asset valuation to financial forecasting. Read more..
MIAC PERSPECTIVES